Your motherboard has "glue chips" that work with the particular CPU it is designed to host. Some older AMD and Intel x86 CPUs are intercompatible and can replace each other in motherboards. There are no DEC Alpha CPUs that work in x86 motherboards. DEC Alphas are 64-bit and won't run x86 software. They also do not fit into the CPU sockets on any x86 motherboards.

Even if an Alpha could fit into the processor slot, it still wouldn't work. The chipsets are incompatible as hitsquad has said. Also, one reason why you probably wouldn't want an Alpha is you can't run Windows on it (other than NT4, yes, there's a version). The only OS's available for Alphas are the free BSD's, Linux, Digital Unix, and VMS. Alpha's are not manufactured anymore, meaning the only places you will be able to dig one up are on Ebay; rarely will you see an EV7 or EV6 on there. These are the Alphas to own and are mostly only available in propiertary Compaq servers or workstations. Alphas have been discontinued for roughly 3 years now, meaning almost any recent Intel processor should compare in computational power. I haven't taken a look at any SPEC benchmarks in awhile.

Edit: I was actually unaware of when the EV7's began being produced. Taking a look at Wikipedia, it appears the Alpha line continued till 2003.

Taking a look at the SPEC CPU2000FP benchmarks, the EV7's average around 600 whereas most of the recent Xeons average around 1500. However, at the time EV6's were being manufactured and PIII (~733mhz, or even higher P4 Xeons around 1.6ghz), there's quite a gap between performance (EV6 takes the bread). I partly blame the gap between the EV7 and Xeons on 1) HPaq not caring 2) quality of the fabrication process, which was much less than the EV6 fabrication process.